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Solvability and numerical algorithms for a class of variational data assimilation problems

Guri Marchuk, Victor Shutyaev (2002)

ESAIM: Control, Optimisation and Calculus of Variations

A class of variational data assimilation problems on reconstructing the initial-value functions is considered for the models governed by quasilinear evolution equations. The optimality system is reduced to the equation for the control function. The properties of the control equation are studied and the solvability theorems are proved for linear and quasilinear data assimilation problems. The iterative algorithms for solving the problem are formulated and justified.

Solvability and numerical algorithms for a class of variational data assimilation problems

Guri Marchuk, Victor Shutyaev (2010)

ESAIM: Control, Optimisation and Calculus of Variations

A class of variational data assimilation problems on reconstructing the initial-value functions is considered for the models governed by quasilinear evolution equations. The optimality system is reduced to the equation for the control function. The properties of the control equation are studied and the solvability theorems are proved for linear and quasilinear data assimilation problems. The iterative algorithms for solving the problem are formulated and justified.

Static hedging of barrier options with a smile : an inverse problem

Claude Bardos, Raphaël Douady, Andrei Fursikov (2002)

ESAIM: Control, Optimisation and Calculus of Variations

Let L be a parabolic second order differential operator on the domain Π ¯ = 0 , T × . Given a function u ^ : R and x ^ > 0 such that the support of u ^ is contained in ( - , - x ^ ] , we let y ^ : Π ¯ be the solution to the equation: L y ^ = 0 , y ^ | { 0 } × = u ^ . Given positive bounds 0 < x 0 < x 1 , we seek a function u with support in x 0 , x 1 such that the corresponding solution y satisfies: y ( t , 0 ) = y ^ ( t , 0 ) t 0 , T . We prove in this article that, under some regularity conditions on the coefficients of L , continuous solutions are unique and dense in the sense that y ^ | [ 0 , T ] × { 0 } can be C 0 -approximated, but an exact solution does not...

Static Hedging of Barrier Options with a Smile: An Inverse Problem

Claude Bardos, Raphaël Douady, Andrei Fursikov (2010)

ESAIM: Control, Optimisation and Calculus of Variations

Let L be a parabolic second order differential operator on the domain Π ¯ = 0 , T × . Given a function u ^ : R and x ^ > 0 such that the support of û is contained in ( - , - x ^ ] , we let y ^ : Π ¯ be the solution to the equation: L y ^ = 0 , y ^ | { 0 } × = u ^ . Given positive bounds 0 < x 0 < x 1 , we seek a function u with support in x 0 , x 1 such that the corresponding solution y satisfies: y ( t , 0 ) = y ^ ( t , 0 ) t 0 , T . We prove in this article that, under some regularity conditions on the coefficients of L, continuous solutions are unique and dense in the sense that y ^ | [ 0 , T ] × { 0 } can be C0-approximated, but an exact solution...

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